Tue, Oct 21, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index -0.33% in June, +1.51% YTD

Thursday, July 25, 2013
Opalesque Industry Update - The Parker FX Index is reporting a -0.33% return for the month of June. Forty-one of the forty-three programs in the Index reported June 2013 results, of which fifteen reported positive results and twenty-six incurred losses. On a risk-adjusted basis, the Index was down -0.14% in June. The median return for the month was -0.23%, while the performance for June ranged from a high of +11.02% to a low of -5.67%.

In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During June, the Systematic Index was down -0.32% and the Discretionary Index was down -0.34%. On a risk-adjusted basis, the Parker Systematic Index was down -0.12% and the Parker Discretionary Index was down -0.25%.

The top three performing constituent programs for the month of June on a reported basis, returned +11.02%, +3.77% and +1.85%, respectively. The top three performers on a risk-adjusted basis returned +3.73%, +1.57% and +1.10%, respectively.

The US dollar strengthened versus other G-10 currencies following the Federal Reserve’s comments that the central bank may gradually slow or end the quantitative easing programs. The rally gradually faded after disappointing US GDP data prompted investors to question the likelihood of the Federal Reserve changing course. Elsewhere, the yen’s decline versus the dollar reversed as the currency strengthened by 1.58%. Emerging market currencies were negatively impacted by the diminished growth targets and higher rates in the US.

The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first index used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 330-month compounded annual return since inception (January, 1986 through June, 2013) is up +10.48% on a reported basis and up +2.94% on a risk adjusted basis.

press release

parkerglobal.com

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   

Banner

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: What's next for trend followers?[more]

    Bailey McCann, Opalesque New York: New research out from Ibbotson touches on a key debate happening among investors and fund managers, specifically whether long term trend followers can survive in the new

  2. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  3. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  4. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  5. Sparx optimistic about outlook for Japan[more]

    Benedicte Gravrand, Opalesque Geneva: According to SPARX, there are causes to be optimistic about the outlook for the Japanese market and the country's economy in general. Sparx Asset Management is a Tokyo-based asset manager, part of